布林波動(dòng)率策略（TB版）

布林波動(dòng)率策略（TB版）一、策略概述該策略基于布林帶（BollingerBands）和市場(chǎng)波動(dòng)率變化，通過(guò)動(dòng)態(tài)調(diào)整回溯天數(shù)來(lái)優(yōu)化交易信號(hào)。本策略旨在通過(guò)識(shí)別市場(chǎng)中的特定交易信號(hào)，結(jié)合資金管理原則，實(shí)現(xiàn)穩(wěn)定盈利。策略將利用TB軟件的強(qiáng)大功能，對(duì)市場(chǎng)數(shù)據(jù)進(jìn)行實(shí)時(shí)分析，并根據(jù)預(yù)設(shè)的規(guī)則和條件執(zhí)行交易。二、參數(shù)定義ceilingAmt：上限值，默認(rèn)為60，限制回溯天數(shù)的最大值。floorAmt：下限值，默認(rèn)為20，限制回溯天數(shù)的最小值。bolBandTrig：布林帶觸發(fā)系數(shù)，默認(rèn)為2.00，用于計(jì)算布林帶的寬度倍數(shù)。三、變量定義*lookBackDays：回溯天數(shù)，初始為20，根據(jù)波動(dòng)率變化動(dòng)態(tài)調(diào)整。*todayVolatility：當(dāng)前波動(dòng)率，通過(guò)30日歷史收盤價(jià)計(jì)算的標(biāo)準(zhǔn)差。*yesterDayVolatility：昨日波動(dòng)率，基于前一日的收盤價(jià)計(jì)算。*deltaVolatility：波動(dòng)率變化量，反映今日與昨日波動(dòng)率的差異比例。*upBand、dnBand：上布林帶和下布林帶，根據(jù)中線和帶寬計(jì)算。*MidLine：布林帶中線，基于動(dòng)態(tài)調(diào)整后的回溯天數(shù)計(jì)算平均收盤價(jià)。*Band：布林帶寬度，基于動(dòng)態(tài)調(diào)整后的回溯天數(shù)和觸發(fā)系數(shù)計(jì)算。*buyPoint、sellPoint：買入觸發(fā)點(diǎn)和賣出觸發(fā)點(diǎn)，分別為過(guò)去N日內(nèi)的最高價(jià)和最低價(jià)。*longLiqPoint、shortLiqPoint：多頭止損點(diǎn)和空頭止損點(diǎn)，基于動(dòng)態(tài)調(diào)整后的回溯天數(shù)計(jì)算平均收盤價(jià)。四、策略邏輯波動(dòng)率計(jì)算與回溯天數(shù)調(diào)整計(jì)算當(dāng)前和昨日的波動(dòng)率。根據(jù)波動(dòng)率變化量動(dòng)態(tài)調(diào)整回溯天數(shù)，并確保其在上下限之間。布林帶計(jì)算根據(jù)調(diào)整后的回溯天數(shù)計(jì)算布林帶中線、寬度、上帶和下帶。交易信號(hào)生成多頭買入：當(dāng)收盤價(jià)高于上布林帶，并且價(jià)格上穿買入觸發(fā)點(diǎn)時(shí)買入?？疹^賣出：當(dāng)收盤價(jià)低于下布林帶，并且價(jià)格下穿賣出觸發(fā)點(diǎn)時(shí)賣出。多頭止損：持倉(cāng)多頭時(shí)，價(jià)格下穿多頭止損點(diǎn)則賣出?？疹^止損：持倉(cāng)空頭時(shí)，價(jià)格上穿空頭止損點(diǎn)則平倉(cāng)。注釋輸出在觸發(fā)買入、賣出、多頭止損或空頭止損時(shí)，輸出相應(yīng)的觸發(fā)價(jià)格和注釋。離場(chǎng)條件-止損設(shè)置：為每筆交易設(shè)置合理的止損點(diǎn)，以控制潛在損失。-收盤離場(chǎng)：若達(dá)到止損點(diǎn)或收盤時(shí)仍持倉(cāng)，則執(zhí)行平倉(cāng)操作。資金管理-倉(cāng)位控制：根據(jù)賬戶資金量和市場(chǎng)波動(dòng)情況，合理控制每筆交易的倉(cāng)位大小。-風(fēng)險(xiǎn)分散：避免在同一市場(chǎng)或同一品種上過(guò)度集中倉(cāng)位，以降低整體風(fēng)險(xiǎn)。其他條件-交易時(shí)間：僅在特定交易時(shí)間段內(nèi)執(zhí)行交易，如開(kāi)盤后一段時(shí)間內(nèi)或收盤前一段時(shí)間內(nèi)。-市場(chǎng)狀態(tài)：根據(jù)市場(chǎng)整體趨勢(shì)、波動(dòng)率等指標(biāo)，調(diào)整交易策略的參數(shù)或選擇是否執(zhí)行交易。請(qǐng)注意，策略規(guī)則和條件僅為示例，實(shí)際交易策略應(yīng)根據(jù)您的具體需求和風(fēng)險(xiǎn)承受能力進(jìn)行調(diào)整和優(yōu)化。在使用任何交易策略之前，請(qǐng)務(wù)必進(jìn)行充分的研究和測(cè)試，并謹(jǐn)慎評(píng)估潛在風(fēng)險(xiǎn)。策略代碼解讀://參數(shù)定義ParamsNumericceilingAmt(60);//設(shè)置上限值，默認(rèn)為60NumericfloorAmt(20);//設(shè)置下限值，默認(rèn)為20NumericbolBandTrig(2.00);//布林帶觸發(fā)系數(shù)，默認(rèn)為2.00VarsNumericlookBackDays(20);//回溯天數(shù)，默認(rèn)為20NumerictodayVolatility(0);//當(dāng)前波動(dòng)率NumericyesterDayVolatility(0);//昨日波動(dòng)率NumericdeltaVolatility(0);//波動(dòng)率變化量NumericSeriesbuyPoint(0);//買入觸發(fā)點(diǎn)NumericSeriessellPoint(0);//賣出觸發(fā)點(diǎn)NumericSerieslongLiqPoint(0);//多頭止損點(diǎn)NumericSeriesshortLiqPoint(0);//空頭止損點(diǎn)NumericupBand(0);//上布林帶NumericdnBand(0);//下布林帶NumericMidLine(0);//中線NumericBand(0);//布林帶寬度Begin//計(jì)算當(dāng)前和昨日的波動(dòng)率todayVolatility=StandardDev(Close,30,1);yesterDayVolatility=StandardDev(Close[1],30,1);//計(jì)算波動(dòng)率的變化比例deltaVolatility=(todayVolatility-yesterDayVolatility)/todayVolatility;//根據(jù)波動(dòng)率變化調(diào)整回溯天數(shù)lookBackDays=lookBackDays*(1+deltaVolatility);//將回溯天數(shù)四舍五入到最近的整數(shù)lookBackDays=Round(lookBackDays,0);//確?；厮萏鞌?shù)在上限和下限之間lookBackDays=Min(lookBackDays,ceilingAmt);lookBackDays=Max(lookBackDays,floorAmt);//計(jì)算布林帶的中線MidLine=AverageFC(Close,lookBackDays);//計(jì)算布林帶的寬度Band=StandardDev(Close,lookBackDays,bolBandTrig);//計(jì)算上布林帶和下布林帶的位置upBand=MidLine+bolBandTrig*Band;dnBand=MidLine-bolBandTrig*Band;//計(jì)算買入和賣出觸發(fā)點(diǎn)buyPoint=Highest(High[1],lookBackDays);sellPoint=Lowest(Low[1],lookBackDays);//計(jì)算多頭和空頭的止損點(diǎn)longLiqPoint=Average(Close[1],lookBackDays);shortLiqPoint=Average(Close[1],lookBackDays);//多頭買入邏輯if(Close>upBand){If(CrossOver(high,buyPoint)){//當(dāng)價(jià)格上穿最高價(jià)且穿越買入觸發(fā)點(diǎn)時(shí)買入Buy(1,max(buyPoint,Low));}//輸出買入觸發(fā)點(diǎn)的注釋Commentary("多頭觸發(fā)價(jià):"+Text(buyPoint));}//空頭賣出邏輯if(Close<dnBand){If(CrossUnder(Low,sellPoint)){//當(dāng)價(jià)格下穿最低價(jià)且穿越賣出觸發(fā)點(diǎn)時(shí)賣出SellShort(1,min(sellPoint,High));}//輸出賣出觸發(fā)點(diǎn)的注釋Commentary("空頭觸發(fā)價(jià):"+Text(sellPoint));}//多頭止損邏輯if(MarketPosition==1){If(CrossUnder(Low,longLiqPoint)){//當(dāng)價(jià)格下穿多頭止損點(diǎn)時(shí)賣出Sell(1,min(longLiqPoint,High));}//輸出多頭止損點(diǎn)的注釋Commentary("多頭退出:"+Text(longLiqPoint));}//空頭止損邏輯if(MarketPosition==-1){If(CrossOver(high,shortLiqPoint)){//當(dāng)價(jià)格上穿空頭止損點(diǎn)時(shí)平空BuyToCover(1,max(shortLiqPoint,Low));}//輸出空頭止損點(diǎn)的注釋Commentary("空頭退出:"+Text(shortLiqPoint));}End//結(jié)束策略邏輯策略代碼:ParamsNumericceilingAmt(60);NumericfloorAmt(20);NumericbolBandTrig(2.00);VarsNumericlookBackDays(20);NumerictodayVolatility(0);NumericyesterDayVolatility(0);NumericdeltaVolatility(0);NumericSeriesbuyPoint(0);NumericSeriessellPoint(0);NumericSerieslongLiqPoint(0);NumericSeriesshortLiqPoint(0);NumericupBand(0);NumericdnBand(0);NumericMidLine(0);NumericBand(0);BegintodayVolatility=StandardDev(Close,30,1);yesterDayVolatility=StandardDev(Close[1],30,1);deltaVolatility=(todayVolatility-yesterDayVolatility)/todayVolatility;lookBackDays=lookBackDays*(1+deltaVolatility);lookBackDays=Round(lookBackDays,0);lookBackDays=Min(lookBackDays,ceilingAmt);lookBackDays=Max(lookBackDays,floorAmt);MidLine=AverageFC(Close,lookBackDays);Band=StandardDev(Close,lookBackDays,bolBandTrig);upBand=MidLine+bolBandTrig*Band;dnBand=MidLine-bolBandTrig*Band;buyPoint=Highest(High[1],lookBackDays);sellPoint=Lowest(Low[1],lookBackDays);longLiqPoint=Average(Close[1],lookBackDays);shortLiqPoint=Average(Close[1],lookBackDays);if(Close>upBand){If(CrossOver(high,buyPoint)){Buy(1,max(buyPoint,Low));}Commentary("多頭觸發(fā)價(jià):"+Text(buyPoint));}if(Close<dnBand){If(CrossUnder(Low,sellPoint)){SellShort(1,min(sellPoint,High));}Commentary("空頭觸發(fā)價(jià):"+Text(sellPoint));}if(MarketPosition==1){If(CrossUnder(Low,longLiqPoint